A master thesis from Aalborg University
Testing for Bubble(s) in NASDAQ and DJI indexes in 1990-2003
Author(s)
Term
4. semester
Publication year
2022
Submitted on
2022-12-14
Pages
69 pages
Abstract
The primary goal of this paper is to investigate if there was a bubble in Nasdaq Composite index between 1990 and 2003. To do this, two major different tests are applied. The GSADF test, which can date-stamp the dates with explosiveness and identify if a bubble existed throughout the study period is the first test. In addition to the GSADF, another method that is used to detect the explosiveness is the variance bounds test. Some other tests were also applied in order to have a better understanding about the period with explosiveness in the study period. These tests, includes the chow break test, the abnormal return test, and the variance ratio test, which in themselves are not designed to detect bubbles.
Keywords
Documents
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